My cat doesn't play with what I am knitting so much, but loves to steal my yarn when I am not looking. (He also steals knitting needles, crocket hooks, embroidery floss, row counters, etc... plus jewerly, money, checks..... I think he is trying to build his own stash!)
He loves yarn and he loves plastic bags.... yarn in plastic bags is just too much for him!
I often walk into a room and find a ball or skein strung across the floor, wraped around the table, up over the couch, etc.
(Like everyone else, I have tried giving him his own, but no, he wants my "good" yarn!)